<p>
  Marshall et al (2010) define an arbitrage opportunity as when the bid price of ETF A (B) diverts high enough away from the ask 
  price of ETF B (A) such that their quotient reaches a threshold. In their paper, an arbitrage opportunity is only acted upon 
  when the threshold is satisfied for 15 seconds. When these criteria are met, the algorithm enters the arbitrage trade by going 
  long ETF B (A) and short ETF A (B). When the spread reverts back to where the bid of ETF B (A) >= the ask of ETF A (B) for 15 
  seconds, the positions are liquidated. An overview of the trade process is illustrated in the image below.
</p>

<img class="img-responsive" src="https://cdn.quantconnect.com/i/tu/arbitrage-trade-process.jpg" alt="Tutorial1023-intraday-arbitrage-1" />